diff options
| -rw-r--r-- | python/analytics/tranche_basket.py | 14 |
1 files changed, 10 insertions, 4 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index b7039d1c..6ab730a3 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -257,7 +257,13 @@ class DualCorrTranche: def value_date(self, d: pd.Timestamp): self._index.value_date = d start_date = pd.Timestamp(d) + Day() - self.cs = self.cs[self.cs.index > start_date] + self.cs = credit_schedule( + start_date, + 1.0, + self._index.yc, + self.maturity, + rule=OldCDS if self.index_type == "BS" else CDS2015, + ) self._accrued = ( (start_date - self.cs.start_dates[0]).days / 360 @@ -484,8 +490,8 @@ class DualCorrTranche: ) def mark(self, **args): - if "spread" in args: - spread = args["spread"] + if "ref" in args: + ref = args["ref"] else: if not self.index_type == "BS": col_ref = "close_price" if self.index_type == "HY" else "close_spread" @@ -652,7 +658,7 @@ class DualCorrTranche: r = self.pv - pv_orig self.rho = rho_orig self.maturity += relativedelta(years=1) - return r / abs(self.notional) + self.tranche_running * 1e-4 + return -r / self.notional + self.tranche_running * 1e-4 def expected_loss(self, discounted=True, shortened=0): if shortened > 0: |